Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0413
Annualized Std Dev 0.2777
Annualized Sharpe (Rf=0%) -0.1489

Row

Daily Return Statistics

Close
Observations 3575.0000
NAs 1.0000
Minimum -0.1405
Quartile 1 -0.0089
Median 0.0007
Arithmetic Mean 0.0000
Geometric Mean -0.0002
Quartile 3 0.0093
Maximum 0.0927
SE Mean 0.0003
LCL Mean (0.95) -0.0006
UCL Mean (0.95) 0.0006
Variance 0.0003
Stdev 0.0175
Skewness -0.2862
Kurtosis 3.9067

Downside Risk

Close
Semi Deviation 0.0127
Gain Deviation 0.0115
Loss Deviation 0.0128
Downside Deviation (MAR=210%) 0.0175
Downside Deviation (Rf=0%) 0.0127
Downside Deviation (0%) 0.0127
Maximum Drawdown 0.8740
Historical VaR (95%) -0.0290
Historical ES (95%) -0.0414
Modified VaR (95%) -0.0288
Modified ES (95%) -0.0483
From Trough To Depth Length To Trough Recovery
2008-07-07 2020-04-27 NA -0.8740 3200 2973 NA
2008-01-03 2008-01-23 2008-02-19 -0.0940 32 14 18
2007-07-11 2007-08-22 2007-09-17 -0.0893 48 31 17
2008-05-22 2008-06-04 2008-06-06 -0.0830 11 9 2
2007-01-10 2007-01-18 2007-01-30 -0.0813 14 6 8

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 -0.8 0.1 -0.8 -0.4 0.6 1.1 -0.9 0.6 -1.6 -0.2 -2 0.2 -4.1
2008 -3.2 -0.5 -0.5 -2 1.1 1 1 -0.6 -2 2.6 -3.6 5.7 -1.3
2009 -0.5 -1 -1.8 2.9 3.5 -1.6 2.1 -2 0.8 -3.1 0.4 0.4 -0.2
2010 2.3 -0.7 2.2 0.8 -2.3 -2.2 0.8 2.2 1.6 1 2.8 1.9 10.8
2011 0.2 2.4 1.1 0.9 -1.6 -0.4 0 -0.3 -3 -1.4 0 -0.9 -3.1
2012 -0.1 2 0.1 0.3 -3.3 6.1 0.8 1.6 0.2 0.3 0.3 0.2 8.6
2013 0.6 -0.7 0.4 -1.7 -1.7 0.8 0.8 -0.2 -0.4 -1.7 -0.1 -0.3 -4.1
2014 -0.8 0.4 -2.1 -0.6 -0.5 0 -0.9 0.6 -0.7 -0.2 1.7 1.4 -1.8
2015 4.7 1.9 1.8 0.4 -0.7 -2.3 -2.1 -6 -1.5 1.8 1 1.7 0.3
2016 -4.3 0.4 -3.4 0.3 1.2 2.2 -2.6 -2.6 0.5 1.1 3.5 0.1 -3.8
2017 1.4 -0.3 0.8 -0.7 -0.6 2.3 -1.1 0.2 -0.9 -0.1 1.2 0.1 2.2
2018 1 -0.3 0.5 -1.3 -1.1 1.4 -1.8 -0.1 2.5 -2.2 -1.2 1.4 -1.6
2019 1.7 -1.2 1.4 0.1 -4.6 1.6 -4.7 -2.3 -0.4 3.2 -3.8 -0.8 -9.8
2020 -1.7 -2.1 -3.2 -2.9 0.7 0.6 0.1 0.4 -2.3 -0.7 -1.1 0.6 -11.2
2021 2.8 -1.3 2.3 NA NA NA NA NA NA NA NA NA 3.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-01-05  24.2 SPY    141. -0.008  -0.0138   -0.0053   0.0417   0.104     0.250    0.203 GLD    60.2 -0.024   -0.0329
2 2007-01-08  24.3 SPY    141.  0.0046 -0.0072   -0.005    0.0445   0.108     0.254    0.200 GLD    60.5  0.0052  -0.0385
3 2007-01-09  24.5 SPY    141. -0.0008 -0.0039   -0.005    0.0449   0.0983    0.249    0.208 GLD    60.8  0.0061  -0.0373
4 2007-01-10  23.8 SPY    142.  0.0033  0.00120   0.0027   0.0477   0.0992    0.248    0.215 GLD    60.6 -0.0043  -0.0271
5 2007-01-11  23.0 SPY    142.  0.0044  0.0035    0.0052   0.0509   0.103     0.265    0.230 GLD    60.6  0.0007  -0.0165
6 2007-01-12  23.4 SPY    143.  0.0076  0.0192    0.0099   0.0602   0.108     0.265    0.234 GLD    62.2  0.0254   0.0332
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart